Crude Options Volatility Rises as Oil Futures Slide 1.1%Barbara Powell
Crude options volatility rose as oil futures retreated 1.1 percent.
Implied volatility for at-the-money options expiring in May, a measure of expected price swings in futures and a gauge of options prices, was 18.33 percent at 2:41 p.m. on the New York Mercantile Exchange. It ended at 17.99 percent yesterday.
West Texas Intermediate crude oil for May delivery fell $1.05 to settle at $92.45 a barrel on the Nymex.
The most-active options in electronic trading today were May $85 puts, which rose 5 cents to 20 cents a barrel on volume of 1,691 contracts at 2:43 p.m. June $90 puts were the second-most active with 1,470 lots. They increased 29 cents to $1.70 a barrel.
Puts made up 56 percent of electronic trading volume. In the previous session yesterday, calls accounted for 55 percent of the volume.
December $90 puts were the most active options traded in the previous session, with 3,801 contracts changing hands. They declined 51 cents to $4.98 a barrel. June $97 calls were up 20 cents to $1.34 a barrel on 3,321 lots.
Open interest was highest for December $105 calls with 36,590 contracts. Next were June $90 puts at 32,480 and December $110 calls at 31,367.
The exchange distributes real-time data for electronic trading and releases information the next business day on open-outcry volume, where the bulk of options activity occurs.